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Kalman Filtering With Inequality Constraints For Turbofan Engine Health Estimation, Daniel J. Simon, Donald L. Simon

Electrical and Computer Engineering Faculty Publications

Kalman filters are often used to estimate the state variables of a dynamic system. However, in the application of Kalman filters some known signal information is often either ignored or dealt with heuristically. For instance, state-variable constraints (which may be based on physical considerations) are often neglected because they do not fit easily into the structure of the Kalman filter. Thus, two analytical methods to incorporate state-variable inequality constraints into the Kalman filter are now derived. The first method is a general technique that uses hard constraints to enforce inequalities on the state-variable estimates. The resultant filter is a combination …